Process-level large deviations for nonlinear Hawkes point processes

Lingjiong Zhu

Research output: Contribution to journalArticlepeer-review

17 Scopus citations

Abstract

In this paper, we prove a process-level, also known as level-3 large deviation principle for a very general class of simple point processes, i.e. nonlinear Hawkes process, with a rate function given by the process-level entropy, which has an explicit formula.

Original languageEnglish (US)
Pages (from-to)845-871
Number of pages27
JournalAnnales de l'institut Henri Poincare (B) Probability and Statistics
Volume50
Issue number3
DOIs
StatePublished - Aug 2014

Keywords

  • Hawkes processes
  • Large deviations
  • Point processes
  • Rare events
  • Self-exciting processes

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